The MathFinance Newsletter, Edition 82, July 29 2003.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- MathFinance Events
- The Mathematics of Exotic Options by Prof. Robert G. Tompkins
- "The Mathematics of Interest Rate Derivatives" - A 2 - Day course led by Dr. Dariusz Gatarek
- Bachelier Finance Society Third World Congress
- Asset-Backed Securities: Pricing and Hedging Aspects by Prof. Ian Giddy
- Paul Wilmott - Exotic Options, Pricing and Hedging
- Call For Papers: 7th Conference Of The Swiss Society For Financial Market Research (SGF)
- MathFinance Resources
- place a student
- recommend your book or educational institute
- find a quant
- invite to a workshop
- contribute to our website
- pose questions about mathematical finance
- introduce your research to a wider audience
The MathFinance Newsletter: Established November
1999
- supported by Landesbank Hessen-Thüringen -
Editor: Dr. Uwe Wystup, Frankfurt MathFinance Institute
Assistant Editor: Susanne Griebsch, Goethe-University, Frankfurt
Technical Editor: Tom Heide, University of Applied Science, Frankfurt
Database Solutions: Thorsten Schmidt, Giessen
University
In detail:
- MathFinance Job Exchange
-
Lectureship In Statistics, University College Cork, Ireland
Applications are invited for a full-time, permanent, College Lectureship post in the Department of Statistics to commence within the academic year 2003/04.
Each candidate must complete an application form which must reach the Recruitment Office, Department of Human Resources, University College Cork, Ireland on or before Friday, 12 September 2003.
Selection Criteria for the post
- Essential Criteria
- A PhD in Statistics or a cognate area on appointment.
- Commitment to developing and delivering undergraduate curriculum, including Statistical elements of the Financial Mathematics and Actuarial Science programme.
- Strong research potential.
- Good written and oral communication skills in English.
- Desirable Criteria
- Training in statistical methodologies applicable to actuarial science (e.g. applied probability, biostatistics, data mining, multivariate analysis, stochastic modelling, time series, survival analysis).
- Evidence of teaching experience or strong teaching potential.
- Evidence of research achievement.
Job Responsibilities of the post
The successful candidate will be expected to:
- Teach undergraduate and postgraduate courses in Statistics, including Statistical components of the Financial Mathematics and Actuarial Science programme
- Provide postgraduate supervision in Statistics
- Carry out research in Statistics
- Carry out other duties as appropriate, including administration
Closing date: 12 September 2003
Application forms must be completed and are available, together with further particulars, on our website at:
http://www.ucc.ie/appointments/
or from,
Department of Human Resources
University College Cork
CORK
Tel: 021 4903691 / Email: recruitment@per.ucc.ie / Fax 021 4276995
University College Cork is an Equal Opportunities Employer -
Chair In Mathematical Finance At Imperial College London
Department Of Mathematics
Applications are invited for a Chair in Mathematical Finance, with effect from 1st January 2004, or as soon as possible thereafter. The post is within the Department of Mathematics, Faculty of Physical Sciences, Imperial College London, based on the South Kensington campus.
The successful applicant will be expected to enhance and extend the research effort of the group. We welcome applications from people working in any area of the subject, which could include econometrics and data analysis as well as mathematical finance rooted in probability theory, optimization-based approaches or computational finance. The candidate will be expected to develop her or his research programme, to secure funding and to contribute to the activities of the section as outlined above, including developing her/his relationships with the industry. The candidate will also contribute to the Department's teaching programme possibly including ancillary teaching in other departments.
Further particulars of this appointment are on
http://www.ma.ic.ac.uk
and http://www.imperial.ac.uk/hq/hr/Employment_Opportunities.htm .
Alternatively, details and an application form can be obtained from
Anne Rowlands
Tel.: 0207 594 8481,
fax 0207 594 8517 or
email: a.rowlands@imperial.ac.uk.
Closing Date: 1st September 2003
Interview Date: Provisionally, to be in the week commencing 6th October 2003.
-
- MathFinance Events
-
The Mathematics of Exotic Options by Prof. Robert G. Tompkins
Course Dates: 8th / 9th September 2003
Course Location: Central London
A 2 - Day course led by Prof. Robert G. Tompkins
Who should attend this course:
- Derivatives Traders
- Exotic Options Traders
- Financial Engineering
- Quantitative Analysis
- Risk Management
- Structured Finance
- Structured Credit Products
Course Leader: Prof. Robert G. TompkinsRobert Tompkins is a Professor of Finance at the Hochschule für Bankwirtschaft in Frankfurt. He is also an Honorary Professorship at the University of Warwick Business School. Dr. Tompkins was formerly the Head of International Quantitative Research at Kleinwort Benson Investment Management. Prior to this, he was the Futures and Options Specialist at Merrill Lynch, Europe and an Interest Rate Options Dealer and Currency Options Trader at two major Chicago banks. He has three degrees from the University of Chicago, including an MA in Quantitative Methods and an MBA (honours).
Robert has authored three books on Options and edited a book on exotic options "From Black Scholes to Black Holes". Robert is currently writing a series on Exotic Options, which appears in the Austrian Journal, Bank Archiv. Robert's current research interests include comparisons of established and emerging markets, volatility estimation and forecasting, implied volatility smile patterns and the hedging of exotic contingent claims.
Aim of the courseThis course covers the latest developments in the pricing and risk management of Exotic Derivatives. The first day examines state-of-the-art techniques for risk management and hedging the risks of exotic options, whilst in the second day these principles will be used to examine individual exotic option contracts. Each major type of exotic option is illustrated with a practical case study.
Course Programme:
Day 1: Option Risk Assessment, Hedging and Smiles:
9:00-10:30 Advanced Risk Analysis Of Options
10:30-11:00 Coffee Break
11:00-12:30 Discrete Option Hedging
12:30-14:00 Lunch Break
14:00-15:30 Defects In Dynamic Hedging Of Exotic Options
15:30-16:00 Coffee Break
16:00-17:30 Static Replication Of Exotic Options
Day 2: Exotic Options Hedging - Case Studies: Dynamic vs. Static Approaches
9:00-10:30 Simple Exotic Options
10:30-11:00 Coffee Break
11:00-12:30 Path Dependent Exotic Options
12:30-14:00 Lunch Break
14:00-15:30 Exotic Structered Products
15:30-16:00 Coffee Break
16:00-17:30 Options On Multiple Underlyings
More information on the content of the course can be found at:
http://www.wbstraining.com/index2.html
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400 Fax: +44 (0) 1273 672333 -
"The Mathematics of Interest Rate Derivatives" - A 2 - Day course led by Dr. Dariusz Gatarek
Course Dates: 15th / 16th September 2003
Course Location: Central London
Who should attend?
- Interest Rate Derivatives
- Market Risk
- Risk Management
- Counter-party risk
- Financial Engineering
- Structured Finance
- Interest Rate Research
- Quantitative Analysis
- Structured Products
Pre / Post Course Service:
WBS Training use simple Pre and Post event strategies to enhance you're learning from our seminars and extend beyond the two days seminar to maximise your understanding
Pre-course Questionnaire:
Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience.
Pre-course Reading:
An exhaustive list of relevant papers for preparation and suggestions for future research. The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over.
Post- course service:
An email contact with the course trainer to answer any follow up questions that may arise after the event.
Course Leader: Dr. Dariusz Gatarek
Dr. Dariusz Gatarek is a Manager in the Capital Markets Group, in the Warsaw office. He has over 6 years of financial markets experience within the banking environment. Since joining Deloitte & Touche in 2002, Dariusz advises clients on how to manage financial risks, evaluating risk management strategies and setting hedging objectives. He is also a specialist in pricing of financial derivatives.
Aim of the course
Prior to joining Deloitte &Touche, Dariusz spent 6 years with BRE Bank during which he created equity warrants in the Polish market and then was responsible for implementing modern risk measurement methods as Value at Risk. Before joining BRE Bank Dariusz served in the Faculty of Mathematics at University of New South Wales and in Polish Academy of Science, where he still is Associate Professor.
Dariusz has published a number of papers on financial models of which perhaps his work with Alan Brace and Marek Musiela on Brace-Gatarek-Musiela (BGM) models of interest rates dynamics is the most well-known. This model is used by leading investment banks worldwide and is becoming a benchmark model of interest rate derivatives. He also contributed to analytical methods for credit risk. He holds PhD and DSc in Applied Mathematics from Polish Academy of Sciences.
For the first time WBS Training can offer a unique opportunity for investment banks to spend two days in a fully interactive seminar with one of the Founding Fathers of the now infamous BGM Model. This course covers the latest developments in the pricing and risk management of Interest Rate Derivatives. Each major model is illustrated with a practical case study. All cases studies use real-world data.
Day One
9:00-10:30 Preliminaries
10:30-11:00 Coffee Break
11:00-12:30 Heath-Jarrow-Morton model
12:30-14:00 Lunch Break
14:00-15:30 Brace-Gatarek-Musiela model
15:30-16:00 Coffee Break
16:00-17:30 Swaptions in the BGM model
Open Questions on today's seminar.
Day Two
9:00-10:30 Pricing of European products
10:30-11:00 Coffee Break
11:00-12:30 Pricing of Bermudan options
12:30-14:00 Lunch Break
14:00-15:30 LIBOR market model with stochastic volatility
15:30-16:00 Coffee Break
16:00-17:30 Single factor forward rate models
Open Questions on today's seminar.
Special Offer through mathfinance.de: 10% off or free 2 nights 5* hotel accommodation
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400
Fax: +44 (0) 1273 672333
For more details visit: http://www.wbstraining.com -
Bachelier Finance Society Third World Congress
July 21-24, 2004 - Chicago
Call for Papers
Plenary Speakers
- Darrell Duffie
- Paul Embrechts
- Helyette Geman
- Robert Jarrow
- Masaaki Kijima
- Dilip Madan
- L.C.G. Rogers
- Martin Schweizer
Scientific/Organizing Committee
- Tomasz Bielecki
- Tomas Bjork
- Monique Jeanblanc
- Vadim Linetsky
- Eckhard Platen
Conference Organizer
Stanley R. Pliska University of Illinois at Chicago
Deadline For Submission Of Contributed Papers
January 1, 2004
For Additional Information
http://www.uic.edu/orgs/bachelier/
bfs2004@uic.edu -
Asset-Backed Securities: Pricing and Hedging Aspects by Prof. Ian Giddy
Special Offer through mathfinance.de: 10% off or free 2 nights 5* hotel accommodation
Course Dates: 16th / 17th October 2003
Course Location: Central London
Who Should AttendCFOs, Treasurers and risk managers in companies which finance using asset-backed securities; investment professionals involved in managing ABS portfolios; officers in banks and other financial institutions who manage portfolios of CDOs and other asset-backed securities; dealers who trade CDOs and credit-linked notes.
Course Leader: Prof. Ian GiddyIan Giddy has taught finance at NYU, Columbia, Wharton, Chicago and in 35 countries during the past three decades. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, he has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous corporations and financial institutions in the U.S. and abroad. He is the author or co-author of The International Money Market, The Handbook of International Finance, Cases in International Finance, Global Financial Markets, Asset Securitization in Asia and The Hudson River Watertrail Guide.
Pre / Post Course Service:WBS Training use simple Pre and Post event strategies to enhance your learning from our seminars and extend beyond the two days seminar to maximise your understanding
Pre-course Questionnaire: Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience. Pre-course Reading: The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over. Post- course service: An email contact with the course trainer to answer any follow up questions that may arise after the event.
Aim of the CourseThe European asset-backed securities market has provided fertile ground for financial hybridization. Originating in a number of countries and legal frameworks, ABS deals - securities backed by assets that have been separated from their originator and placed in a special-purpose company - often demand specialized pricing, risk analysis and hedging. Synthetic and unfunded asset-backed securities make this need more pressing. This workshop will explore some of these variants, and explore their components from the standpoint of quantitative analysis. Participants will get involved in the details of a number of deals and have the opportunity to work in groups on hands-on applications.
Course Programme:
Day One: Risk Analysis
9:00-10:30 Groundwork
10:30-11:00 Break
11:00-12:30 Risk Analysis of CDOs
12:30-14:00 Lunch
14:00-15:30 Rating Agency Revisionism
15:30-16:00 Break
16:00-18:00 When Things Fall Apart
Day Two: Pricing and Hedging
9:00-10:30 Capital Management
10:30-11:00 Break
11:00-12:30 Pricing and Quality of CDOs
12:30-14:00 Lunch
14:00-15:30 Price Behavior and hedging
15:30-16:00 Break
16:00-17:30 Price Behavior and Hedging (continued)
Course Fee £2295:00
More information on the content of the course can be found at:
http://www.wbstraining.com/index2.html
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400 Fax: +44 (0) 1273 672333 -
Paul Wilmott - Exotic Options, Pricing and Hedging
September 8-9, 2003 in Frankfurt
http://www.candiensten.nl/english/cursussen/cd.asp?id=49
Course Trainer
Paul Wilmott is a financial consultant in derivatives, risk management and quantitative finance. He also trains bank personnel in these subjects. He is a Partner in a statistical arbitrage hedge fund, K2, which specializes in volatility trading. Dr Wilmott is the author of "Paul Wilmott Introduces Quantitative Finance" and "Paul Wilmott on Quantitative Finance." He has written over 100 research articles on finance and mathematics. Dr Wilmott also runs http://www.wilmott.com, the popular quantitative finance community website.
Content
A detailed course on the pricing and hedging of exotic derivatives, starting from the analysis of data to build up a vanilla pricing model and then extending this to over-the-counter products. We examine the mathematical modeling and the numerical aspects.
- The Black-Scholes pricing and hedging framework
- How to categorize exotic options
- The mathematics of path dependency and decision processes
- Numerical methods for pricing
Many real-life term sheets will be analyzed. Delegates are encouraged to bring their own term sheets for discussion.
More Information
Paul Wilmott - Exotic Options, Pricing and Hedging
September 8-9, 2003 in Amsterdam, price EURO 1.895,- VAT excluded. Special price for academic delegates EURO 1.495,- VAT excluded
http://www.candiensten.nl/english/cursussen/cursussendetail.asp?id=49
Subscribe via
http://www.candiensten.nl/english/cursussen/inschrijving.asp?id=229 -
Call For Papers: 7th Conference Of The Swiss Society For Financial Market Research (SGF)
Publisher Of The Journal "Financial Markets And Portfolio Management"
April 2, 2004, Zürich (SWX Swiss Exchange)
The Swiss Society for Financial Market Research is again looking forward to provide a discussion platform for financial market researchers and practitioners on its 7th conference in Zürich. We would like to invite you, your colleagues and doctoral students to submit papers on all topic areas of financial market research by November 30, 2003. Both theoretical and empirical papers are welcome.
Papers must be in English, French or German. The cover page of the paper should contain the title, name, affiliation, address and e-mail address of the authors. The second page should contain the title and abstract, but not the name or affiliation of the authors. Please submit your paper electronically as .pdf, MS Word or postscript file via e-mail to mdiel@whu.edu. In case you are sending pdf-files, please provide a second file with an anonymous version of the paper (without the coversheet.). If electronic submission should not be possible, please send your paper in triplicate to:
Prof. Dr. Markus Rudolf
Wissenschaftliche Hochschule für Unternehmensführung (WHU)
Dresdner Bank Chair of Finance
Burgplatz 2
56179 Vallendar
Germany
E-Mail: mdiel@whu.edu (Ms. Marianne Diel)
Phone: +49 - (0)261/ 6509 421
Fax: +49 - (0)261/ 6509 409
For more information on the conference as well as for registration, please visit our Website: http://www.fmpm.ch
-
- MathFinance Resources
-
Survey on American Options in Jump Diffusion Models
by Uwe Wystup
Please find below the references that I found and that were mailed to me based on a query about American Options in Jump Diffusion Models. This list is unlikely to be complete or static. It is not ordered by any criterion than the arrival time at mathfinance.de. If you wish to add further references, please feel free to let me know. I would like to thank my readers for their active and productive participation in this survey.
- Milinacci, S. (1996): "An Approximation of American Option Prices in a Jump-Diffusion Model", Stochastic Processes and their Applications 62, 1-17
-
Dias and Rocha: "Petroleum Concessions with Extendible Options: Investment Timing and Value Using Mean Reversion and Jump Processes for Oil Prices"
Institute for Applied Economic Research Working Paper No. 620 January 1999 available at
http://papers.ssrn.com/sol3/delivery.cfm/99041118.pdf?abstractid=159692 -
David Bates "The Crash of '87: Was It Expected? The Evidence from Options Markets" Journal of Finance, July 1991.
extends Barone-Adesi and Whaley to jump-diffusions - Chandrasekhar R. Gukhal, "The Compound Option Approach to American Options on Jump-Diffusions" Cornell working paper; forthcoming, Journal of Economic Dynamics and Control (may be out). extends Geske-Johnson
- Geske and Johnson(1984):"The American Put Option Valued Analytically", Journal of Finance, 39, 1511-1524.
-
Kaushik I. Amin "Jump Diffusion Option Valuation in Discrete Time" Journal of Finance 48:5, 1993, 1833-1863.
describes an explicit finite difference scheme for pricing options under jump-diffusions - Chandrasekhar R. Gukhal "Analytical Valuation of American Options on Jump-Diffusion Processes" Mathematical Finance 11:1, January 2001, 97-115
- Andreasen and Gruenewald (1996) "American Option Pricing in the Jump-Diffusion Model", Working Paper, Aarhus University and University of Mainz contained in Jesper Andreasen's PhD thesis.
-
Marc Chesney et Monique Jeanblanc :
"Pricing American currency options in a jump diffusion model."
Available at
http://www.maths.univ-evry.fr/prepubli/index.html in preprint 166.
Related work on http://www.maths.univ-evry.fr/pages_perso/jeanblanc/index.html -
Ernesto Mordecki has written on this subject. His work is available at
http://kolmogorov.cmat.edu.uy/~mordecki/publications.html -
Alan Lewis: "American Options under Jump-diffusions: An Introduction" Wilmott Magazine, March 2003.
The author may be frequently found at http://www.wilmott.com, where he is available to discuss his work.
There are also some slides available at http://www.optioncity.net/pubs/CAPConf2001.pdf -
X. L. Zhang: "Valuation of American Option in a Jump-Diffusion
Models", in:
L.C.G. Rogers and D. Talay (editors): Numerical Methods in Finance, Cambridge University Press.
Numerical Valuation using Finite-Difference Methods -
Gunter Meyer: "The numerical valuation of options with underlying jumps" , Acta Math. Univ. Comenianae 67 (1998), pp. 69-82.
Available at http://www.math.gatech.edu/~meyer/ -
Papers by Sabrina Mulinacci
- S.Mulinacci, "An Approximation of American Option prices in a jump-diffusion model", Stchastic processes and their Applications 62 (1996), 1-17
- S.Mulinacci, M. Pratelli, "Functional Convergence of Snell Envelopes: Applications to American Options approximations", Finance Stochast. 2, 311-327(1998)
- G. Becchere, S.Mulinacci, "Hedging American Options in Merton's Model: a Locally Risk Minimizing Approach", Asia-Pacific Financial Markets 6, 153-170 (1999)
- S.Mulinacci, "American path-dependent options: analysis and approximations", to appear in Rendiconti del Dip. Mat. Applicata Università di Venezia
-
Philipp J. Schonbucher: The Mathematics of Credit Derivatives DVD / Interactive CD-ROM
The Essential Credit Modelling and Pricing Companion
The Credit Derivatives phenomenon since the expansion into the investment-banking sector now firmly finds itself in a worldwide boom. The advancements into quantitative modelling has left it almost impossible for professionals not to directly address this product to run along side the more traditional. The Mathematics of Credit Derivatives DVD / CD-ROM for the first time offers a worldwide audience a unique chance to view the Credit Derivatives arena via Philipp J.Schönbucher's twice fully sold out training event "The Mathematics of Credit Derivatives" Central London February 17th / 18th & 14th / 15th May 2003. This DVD will take the viewer from the basics of the Credit Derivatives through to intermediate and on to more advanced topics. The DVD is not however positioned just for high level quants teams but as the research is predominantly new will benefit academics and practitioners alike at all levels "I designed the course in such a way that there should be something in it for everybody" Schönbucher.
The 6 hour 3 DVD package encompasses the key topics from the 2-day seminar detailing the latest developments in the pricing and risk management of Credit Derivatives, with total audience interaction. The seminar examines in depth state-of-the-art techniques of modelling and hedging the risks of single-name credit derivatives, through to the most recent developments in the modelling and pricing of portfolio and basket credit risks.
A key tool of this package coupled with the DVD is the CD-ROM which includes excel spreadsheet case studies using real-world data (quoted prices, CD's rates, historical default rates), pre-course reading for each section and a printable copy of the complete course material from The Mathematics of Credit Derivatives training seminar.
Jacket Content:
The mathematical models of credit risk which are used to price and risk-manage credit derivatives are a challenging and complex subject. In this DVD-set, Philipp J. Schönbucher introduces, explains and critically discusses the most important mathematical models on this subject.
Credit Default Swaps:
- Detailed discussion of payoffs, risk and potential:
- Payoff streams, the delivery option, cash- or physical settlement?
- Variants of CDSs: Default Digital Swaps, Credit-Linked Notes
Hedging with the Underlying Bond:
- The CDS-Asset Swap basis trade: Risks and Returns
- When is the asset swap spread a good indicator of the CDS spread?
- How close is the link between underlying bond and credit derivatives?
- How can we exploit mispricing?
Intensity-Based Models:
- Backing out implied default probabilities from observed market prices and reusing these probabilities to price other instruments
- Intensities, hazard rates, (conditional) survival probabilities: A suitable framework to think about the term structure of default risk?
- How large is the influence of the expected recovery rate on the implied default probabilities?
- Poisson processes and processes with stochastic intensities: Useful properties
- Case Study: Calibration of a term structure of hazard rates from bond prices.
Firm's Value Models:
- The Black-Scholes / Merton model: How does it work, how can we calibrate?
- Why does the Merton model have so many problems in practice and where can we improve it?
Basket- and Portfolio-Credit Derivatives:
- First-to-Default Swaps: A new variant of the CDS
- How is the spread of the FtD related to the spreads of the underlying CDS?
- Transferring portfolio credit risk using loss tranches of CDOs
- What are the new risks of basket- and portfolio credit derivatives?
- How can we handle default correlation risk?
Models for loss distributions:
- Moody's Binomial expansion technique:
- How does it work and is it useful for pricing?
- Alternative models for large portfolios: Factor models with loss distributions in closed-form
- Case study: Calibration of the model to historical data
- Are equity correlations a good indicator for asset correlations?
Models for joint default times: The Copula-Approach:
- Why do we need to model timing risk?
- What is a Copula?
- The Gauss copula and the t-copula: What is the difference and why is sometimes one preferred over the other?
- The copula-transformation: From default events to default times.
Author & Trainer:
Dr. Philipp J. Schönbucher is assistant professor of Risk Management at the Department of Mathematics of the Swiss Federal Institute of Technology (ETH) Zurich. He holds degrees in mathematics (Oxford) and economics (Bonn) and a PhD in economics (Bonn). His publications include papers on credit risk modelling, credit derivatives pricing, stochastic volatility modelling, option pricing in illiquid markets, real options and term structure models. His main area of research is credit risk modelling and credit derivatives pricing in which he has been active since 1996. Furthermore, he is author of a book on "Credit Derivatives Pricing Models" (J. Wiley & Sons, 2003), and he is consultant and professional trainer to a number of leading financial institutions.
http://www.wbstraining.com/html/dvd/mathfinance.php
The DVD will available from end of August 2003. -
Artur Sepp's web page on Jump-Diffusion Processes
Several papers are available for download at http://www.hot.ee/seppar/
Submitted Papers
- Pricing Double-Barrier Options under a Double-Exponential Jump-Diffusion Process: Applications of Laplace Transform.
- Pricing European-Style Options under Jump-Diffusion Stochastic Volatility and Levy Processes: Applications of Fourier Transform
- Analytical Pricing of Lookback Options under a Double-Exponential Jump-Diffusion Process
Working Papers
- Modeling of Credit Default Spreads with Jump-Diffusion Processes
- The Joint Distribution of Maximum, Minimum and Terminal Value for a Double-Exponential Jump-Diffusion Process
